RT Journal Article
SR Electronic
T1 Portfolio Size Revisited
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 49
OP 60
DO 10.3905/jwm.2013.15.4.049
VO 15
IS 4
A1 James Chong
A1 G. Michael Phillips
YR 2013
UL https://pm-research.com/content/15/4/49.abstract
AB Using a sophisticated sampling technique, the authors compare randomly constructed stock portfolios with portfolios using the underlying population and evaluate them with 18 different measures. The randomization included portfolio size and portfolio start date to eliminate timing bias from the analysis. By comparing the 18 statistics across the portfolios, average portfolio sizes to reproduce the population characteristics were computed. The optimal portfolio size depended greatly on the criterion being used to judge the adequacy of diversification.TOPICS: Security analysis and valuation, portfolio construction, performance measurement